Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0481
Annualized Std Dev 0.1974
Annualized Sharpe (Rf=0%) 0.2436

Row

Daily Return Statistics

Close
Observations 4369.0000
NAs 1.0000
Minimum -0.1143
Quartile 1 -0.0044
Median 0.0005
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0054
Maximum 0.1093
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0124
Skewness -0.3859
Kurtosis 14.1658

Downside Risk

Close
Semi Deviation 0.0090
Gain Deviation 0.0092
Loss Deviation 0.0103
Downside Deviation (MAR=210%) 0.0136
Downside Deviation (Rf=0%) 0.0089
Downside Deviation (0%) 0.0089
Maximum Drawdown 0.6523
Historical VaR (95%) -0.0172
Historical ES (95%) -0.0304
Modified VaR (95%) -0.0180
Modified ES (95%) -0.0262
From Trough To Depth Length To Trough Recovery
2007-05-23 2009-03-09 2014-06-05 -0.6523 1772 452 1320
2020-01-21 2020-03-23 2021-02-24 -0.4159 277 44 233
2018-01-29 2018-12-24 2019-09-11 -0.1673 408 229 179
2014-12-30 2015-08-25 2016-03-17 -0.1344 306 165 141
2004-03-08 2004-05-10 2004-09-02 -0.0870 125 45 80

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA NA NA NA NA NA NA NA 1.1 -0.2 0.9
2004 0 0.6 0.8 0.1 -0.1 -1.1 -0.1 0.1 1 -0.1 0.6 -0.3 1.5
2005 0.7 0.7 -0.4 1.2 1.1 0.8 -0.3 0.5 -0.2 -0.3 1 -0.5 4.3
2006 0.4 0.3 -0.2 -0.8 1.2 -0.1 -0.1 0.5 -0.4 0 0.1 -0.6 0.3
2007 0.7 0.1 -0.2 0.6 0.5 -0.3 1.3 0.7 1.3 -2.7 1.4 -0.6 2.7
2008 1.8 -3.2 4.6 3 -1 1.1 0.5 -0.4 4.3 2.4 -11.4 2.3 3.1
2009 -3.6 -1.6 2.3 0.5 3 1.6 0 -1.9 -2.2 -2.4 1.2 -1.3 -4.4
2010 1.2 1.2 1 -0.9 -1.9 -0.3 -0.2 2.7 0.5 -0.3 1.8 -0.3 4.5
2011 1.1 -1.2 0.7 0.1 -1.8 1.4 -0.2 -1 -1.5 -2.5 -0.3 -0.7 -5.8
2012 0.9 0.2 0.3 0.4 -1.9 1.6 -0.4 0 0.1 0.7 0.3 1.5 3.6
2013 0.7 -0.1 -0.4 -1.1 -1.1 0.4 1.4 -0.6 0.6 0.4 -0.7 0.2 -0.3
2014 -0.3 0.6 0.1 -0.1 0.4 0 0 0.4 -0.9 0.7 -0.3 -1.4 -0.9
2015 -1.6 -0.3 0 0.5 -0.1 0.6 0 -2.8 -0.6 0.1 0.7 -1 -4.6
2016 0.2 0.9 0.3 -0.1 0.3 0 -0.3 -0.2 0.4 -1.3 -0.2 -0.3 -0.4
2017 -0.7 1.1 -0.1 -0.4 1.1 0.1 0.1 0.4 -0.1 -0.2 -0.2 -0.2 0.9
2018 -0.4 -0.9 1 -0.5 0.1 -0.1 -0.9 -0.2 0.3 0.5 0.7 0.7 0.3
2019 0 0.4 1.1 -1 -1.3 0.2 -1 0.3 -1.3 1.2 -0.4 0.4 -1.5
2020 -1.6 -1.7 -5.2 -3.4 0.7 -0.8 -0.3 0 -0.3 0.2 1.3 0.8 -10.1
2021 1.1 2.7 -0.3 NA NA NA NA NA NA NA NA NA 3.5

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart